Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0058
Annualized Std Dev 0.0555
Annualized Sharpe (Rf=0%) 0.1043

Row

Daily Return Statistics

Close
Observations 3252.0000
NAs 1.0000
Minimum -0.0685
Quartile 1 -0.0011
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0011
Maximum 0.0527
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0035
Skewness -0.8736
Kurtosis 81.0213

Downside Risk

Close
Semi Deviation 0.0025
Gain Deviation 0.0031
Loss Deviation 0.0032
Downside Deviation (MAR=210%) 0.0089
Downside Deviation (Rf=0%) 0.0025
Downside Deviation (0%) 0.0025
Maximum Drawdown 0.1264
Historical VaR (95%) -0.0035
Historical ES (95%) -0.0075
Modified VaR (95%) -0.0008
Modified ES (95%) -0.0008
From Trough To Depth Length To Trough Recovery
2020-03-10 2020-03-19 2020-07-23 -0.1264 95 8 87
2008-09-12 2008-12-16 2009-01-08 -0.0625 70 58 12
2010-08-27 2011-01-24 2011-09-26 -0.0522 273 103 170
2012-10-01 2016-12-01 2020-01-21 -0.0497 1837 1050 787
2009-01-30 2009-02-03 2009-08-07 -0.0406 132 3 129

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA -0.1 -0.4 0.1 0.2 -0.4 0 0 -0.3 -0.1 0.2 0.9 0.2
2009 -1.6 -0.3 0.7 -0.3 -0.8 -1.2 0.2 -0.1 -0.2 0 -0.1 -0.1 -3.6
2010 -0.1 -0.2 -0.5 -0.1 -0.1 0.1 0 -0.2 -0.5 -0.3 -0.1 -0.5 -2.4
2011 0.2 0.3 -0.4 0.3 0 -0.1 -0.3 -0.3 0.2 0.1 -0.2 0.1 -0.1
2012 -0.1 -0.1 0.1 -0.3 -0.1 -0.2 -0.1 0 -0.1 -0.1 0.4 -0.3 -0.7
2013 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.3 0.1 0 0.2 -0.7
2014 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.1 0 0.1 0.2 -0.2
2015 0.2 0.2 -0.1 0 0 -0.1 0.1 0 0 0.1 0 0.5 0.9
2016 0.1 -0.1 -0.2 0 -0.1 0 -0.2 -0.2 0 -0.2 -0.3 -0.4 -1.6
2017 0.1 -0.1 0.1 -0.2 -0.3 -0.1 -0.2 -0.1 -0.1 -0.2 0.1 -0.1 -1.2
2018 -0.2 -0.1 -0.2 -0.2 -0.1 0.2 -0.3 -0.1 -0.2 -0.4 0.2 0 -1.3
2019 -0.1 -0.2 -0.3 -0.1 0.2 -0.2 0 0 0 -0.1 0.1 0 -0.8
2020 0 -0.2 -0.5 -0.3 -0.5 -0.1 0.2 -0.1 -0.1 0 0 -0.2 -1.7
2021 -0.2 -0.2 -0.1 NA NA NA NA NA NA NA NA NA -0.4

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart